Python Save MultiLayer EXR BUG?
You can add a File output Node, then add as many sockets as you need in your multilayer EXR, and connect them to your renderlayer sockets node:  

renderlayers_node = scene_tree.nodes.new('CompositorNodeRLayers')
outputfile_node = scene_tree.nodes.new('CompositorNodeOutputFile')
outputfile_node.format.file_format = 'OPEN_EXR_MULTILAYER'  # 'OPEN_EXR'
outputfile_node.base_path = base_path
outputfile_node.file_slots.new('Z')
scene_tree.links.new(renderlayers_node.outputs['Image'], outputfile_node.inputs['Image'])
scene_tree.links.new(renderlayers_node.outputs['Z'], outputfile_node.inputs['Z'])